The false promise of expected shortfall

The false promise of expected shortfall

david-rowe

So much ink has been spilled over the strengths and weaknesses of value-at-risk that it seems pointless to restate them at length here. In brief, my view is that VAR was a major advance over the disjointed framework of non-commensurable limits that preceded its introduction. It addressed the issue of exposure to short-term market fluctuations in a consistent way. What it did not do, and never claimed to do, was say anything about what “lurks beyond the 1% threshold”1, and the unfortunate fact is

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: